Finite element and discontinuous Galerkin methods with perfect matched layers for American options
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Publication:3176046
American optiondiscontinuous Galerkin methodfinite element methodperfectly matched layeroptimal exercise boundary
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Volterra integral equations (45D05) Stopping times; optimal stopping problems; gambling theory (60G40) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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